RISK MANAGEMENT NEWS

Sign up to Newsletter

Prometeia looks ahead to future regulatory reporting challenges

Prometeia, the global leader in Risk Management consulting and software solutions, announced today the release of credit risk functionalities related to regulatory reporting and stress testing in ERMAS 5, its flagship ERM solution.

The integration of the Credit Risk analysis into the new technological framework allows to leverage the whole set of analytical features already present in the suite, including the existing powerful and user-friendly system logic.

“We try to anticipate the future needs of banks in implementing the coming requests for regulatory reporting, stress testing and SREP compliance”, comments Andrea Partesotti, Head of Enterprise Risk Management in Prometeia. “We think we must look beyond the 2016 exercise, and lead the way for the exercises that EBA/ECB and other regulatory authorities will ask banks to perform from 2017 onward”.

The functionalities ported into ERMAS 5 are:

  1. RWA calculation, according to both standardized and IRB CRR/Basel 2 approaches;
  2. Stress Testing, based on both macroeconomic and parametric assumptions;
  3. COREP, Pillar III and ITS Credit Risk reporting production, including the ability to create and drill down into the COREP regulatory reporting at disaggregated level.

The porting was not a pure technical transposition of the functionalities from one version of the system to the other, but also included many additional features and functional improvements, for example:

  1. efficient and rationalized data model, aligned to the best practices in regulatory reporting;
  2. graphical  representation of data and equations such as IRB functions, historical macroeconomic series and trends;
  3. enhanced use of macroeconomic models;
  4. transaction level stress test, for every dimension and variable present in the dataset;
  5. user-friendly management of supporting factor application;
  6. management of both regulatory and managerial expected losses;
  7. simplified management of external RWAs;
  8. improved parameterization of Credit Risk analysis process.

ERMAS, the new generation of value-centric Risk solutions, is used by over 200 clients in more than 20 different countries to support their critical decisions and to comply with local and international regulatory requirements.

 

TAG